Markovian projection onto a displaced diffusion: Generic formulas with applications

International Journal of Theoretical and Applied Finance

Volumn 12, Issue 4, 2009, Pages 507-522

  Antonov, A ^a   Misirpashaev, T ^b  

^a NumeriX Software Ltd   (United Kingdom)

^b NumeriX LLC   (United States)

Author keywords

Cross currency model; Displaced diffusion; LIBOR market model; Markovian projection; Swaption; Volatility skew

Indexed keywords

EID: 68149124136     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024909005300     Document Type: Article

References (10)

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